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    Volta Finance Limited (VTA / VTAS) – May 2024 monthly report

    NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO THE UNITED STATES

    *****
    Guernsey, June 17th, 2024

    AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for May 2024. The full report is attached to this release and will be available on Volta’s website shortly (www.voltafinance.com).

    PERFORMANCE and PORTFOLIO ACTIVITY

    Dear investors,

    May was a strong month for Volta Finance, with a net performance of 1.7% and year-to-date return close to +9.5%. In comparison, US High Yield returned +1.63% year-to-date while European High Yield returned +2.57%.

    Despite volatile markets, credit markets performed well in May. The momentum was fueled – in Europe - by anticipation of imminent rate cuts from the European Central Bank, which were eventually implemented early June. Both High Yield Credit indices CDX (for the US) and Xover (for Europe) tightened by 20bps+ on the month while US 10-year treasuries decreased from 4.68% to 4.50%. Leveraged Loan markets also showed strength as Euro Loans gained one point to 98.15px while the US index closed 30 cents up at 96.94px.

    Primary CLO markets remained extremely active, with significant issuance in both markets: there was circa USD 47bn of supply in the US (BSL + MML) and EUR 8.5bn in Europe. Spreads tightened across the capital structure with AAAs moving 5bps tighter to +140bps ; Non-Investment Grade assets also gained momentum as Tier One CLO managers managed to place their BB-rated tranches well inside +600bps in the US.

    Fundamentals in both underlying loan markets continued to display no sign of weakness, notably with default rates down to 1.08% in the US and 1.48% in Europe. At the same time, the pick-up in loan refinancings has been increasing the speed of prepayments in amortizing CLOs and fueling CLO refinancing and reset activity.

    Volta Finance’s investment portfolio benefited from this search for yield, with mark-to-market valuations for CLO debt tranches increasing and CLO Equity investments returning over 3% on the month due to a combination of both higher valuation and strong payments. Through the month, Volta engaged in various transactions, including swapping from an amortizing US CLO debt tranche into a longer profile one, adding to an existing CLO Equity (€0.1m) and funding €1.6m of a European CLO warehouse. The cashflow generation over the last 6 months remained strong at c. €28.4mm equivalent of interests and coupons on an annualized basis, representing 22% of this month’s NAV.

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    Volta Finance Limited Net Asset Value as at 31 May 2024 Volta Finance Limited (VTA / VTAS) – May 2024 monthly report NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO THE UNITED STATES ***** Guernsey, June 17th, 2024 AXA IM has published the Volta Finance …